Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0138
Annualized Std Dev 0.4532
Annualized Sharpe (Rf=0%) 0.0306

Row

Daily Return Statistics

Close
Observations 5374.0000
NAs 1.0000
Minimum -0.2033
Quartile 1 -0.0101
Median 0.0000
Arithmetic Mean 0.0005
Geometric Mean 0.0001
Quartile 3 0.0104
Maximum 0.4106
SE Mean 0.0004
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0012
Variance 0.0008
Stdev 0.0285
Skewness 1.1166
Kurtosis 17.4770

Downside Risk

Close
Semi Deviation 0.0191
Gain Deviation 0.0247
Loss Deviation 0.0208
Downside Deviation (MAR=210%) 0.0232
Downside Deviation (Rf=0%) 0.0189
Downside Deviation (0%) 0.0189
Maximum Drawdown 0.8466
Historical VaR (95%) -0.0421
Historical ES (95%) -0.0657
Modified VaR (95%) -0.0267
Modified ES (95%) -0.0267
From Trough To Depth Length To Trough Recovery
2007-01-23 2020-03-23 NA -0.8466 3554 3303 NA
1999-03-23 2001-09-21 2005-07-11 -0.5429 1411 579 832
2006-11-20 2006-11-22 2006-12-05 -0.2574 11 3 8
2006-12-28 2007-01-10 2007-01-17 -0.2462 12 8 4
1999-01-06 1999-02-25 1999-03-02 -0.1750 36 33 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.4 18.2 -1 0 -6.7 -6.2 -3.4 -5.6 -1.9 -2.5 0 -1.1 -10.7
2000 0.6 -6.8 4.3 -4.5 7.8 -6.9 6 1.3 6.7 0 3.4 0 11.1
2001 0 4.5 3.1 -3.2 1.4 0 0 -2.5 0 2.9 5.7 1.2 13.6
2002 0 3.1 -1.3 2.6 -2 0.6 -1.5 3 -0.3 8.3 0 2.8 16
2003 0.6 -1.7 -1.3 0.3 -1.5 -0.4 0 -0.2 3.2 3.4 -1.6 -1.5 -0.7
2004 -0.2 2.2 -2.7 -2.6 -4.7 2.7 2.2 3.3 3.3 1.1 -0.6 0.7 4.4
2005 0.3 -1.8 0.5 2.7 7.2 -2.4 -0.6 4.5 1.7 -0.6 -0.8 1.5 12.6
2006 -1.8 2.6 -0.2 0.1 -0.9 -0.1 12.8 -3.6 0.5 0.5 0.8 3 13.5
2007 -0.4 -2.2 1.4 11.8 3.8 -4 -3.5 1.4 0.6 -4.2 -1 0.4 3.1
2008 1.1 -2.1 5 -2.5 -0.5 -3 4.7 -0.9 5 -1.3 -1.4 1.2 4.9
2009 -0.2 4.6 -4.6 -0.5 7.8 -0.7 3.4 -2.5 -0.6 -3.7 4.9 -1.7 5.7
2010 1 1 1.5 0.4 -0.2 -0.9 -2.1 3.2 1 0.4 2.5 2 10.1
2011 1.2 -1.1 0.7 -0.1 -1.4 1.8 1.2 -0.8 -1.4 -2.8 2.1 1.1 0.3
2012 2.1 1 -1.1 0.8 -2.9 1.1 -1.3 1 0.5 2.7 -1 2.5 5.5
2013 1.5 0 -0.7 -0.5 -1 0.5 1.7 0 0.6 -0.3 0.9 0 2.7
2014 1.1 0.1 0.1 1.2 0.5 1.1 -0.2 1 -1.2 2.5 -4.5 -2.2 -0.8
2015 2.8 7.7 1 0 0.4 8.2 1 -1.4 1.3 -0.1 -1 -0.5 20.7
2016 0.4 2.6 0.3 -1.4 -2.8 0.2 -0.2 -1.1 0.6 0.2 0.9 -0.6 -1.1
2017 0.7 3.1 0.9 0.4 1 0.3 0.7 0.8 0 -1 -0.7 1 7.4
2018 0.1 -0.1 0.6 0.1 0.3 0.2 -0.5 -0.5 0.1 2.8 0.3 0 3.5
2019 0.9 1.2 1.1 0 0.3 0.7 -1.5 0.6 -2.4 2 0.9 -0.6 3.3
2020 -3.6 -5.4 0.1 -4.8 3 -0.3 -1.4 2.1 1.4 -2.2 1.9 0.4 -8.8
2021 3.5 4.3 -1.5 NA NA NA NA NA NA NA NA NA 6.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  4.44 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  5    SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  4.75 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  4.88 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  4.69 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  4.75 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart